Direct And Indirect Oil Shocks And Their Impacts Upon Energy Related Stocks
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Direct and Indirect Oil Shocks and Their Impacts Upon Energy Related Stocks
Author | : David C. Broadstock |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
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We attempt to consolidate (at least in part) the vast literature on oil shocks and stock returns by decomposing the influence of oil shocks into two channels of effect: 'direct' and 'indirect'. Using a simple empirical asset pricing model, it is shown that oil shocks can affect stocks not only directly, but also indirectly through general market risk (which is shown to be due in part to oil shocks), or put another way that additional oil price risk exposure is embedded in the traditional market beta. As far as is known this is the first paper explicitly quantifying both effects together. By doing so we offer a more complete picture of when and how oil shocks impact stock returns, thus allowing investors to make more informed responses to oil shocks. The results are illustrated using daily data from all (active) listed energy related stock portfolios in the Asia Pacific Region, and are robust to structural instability and the specification of oil shock used.
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